E-mini S&P 500 Future September 2009
| Trading Metrics calculated at close of trading on 17-Jun-2009 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
16-Jun-2009 |
17-Jun-2009 |
Change |
Change % |
Previous Week |
| Open |
919.75 |
908.00 |
-11.75 |
-1.3% |
928.50 |
| High |
924.75 |
914.25 |
-10.50 |
-1.1% |
952.75 |
| Low |
906.50 |
899.25 |
-7.25 |
-0.8% |
921.25 |
| Close |
907.75 |
905.25 |
-2.50 |
-0.3% |
940.75 |
| Range |
18.25 |
15.00 |
-3.25 |
-17.8% |
31.50 |
| ATR |
21.29 |
20.84 |
-0.45 |
-2.1% |
0.00 |
| Volume |
2,146,711 |
2,267,554 |
120,843 |
5.6% |
2,586,962 |
|
| Daily Pivots for day following 17-Jun-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
951.25 |
943.25 |
913.50 |
|
| R3 |
936.25 |
928.25 |
909.50 |
|
| R2 |
921.25 |
921.25 |
908.00 |
|
| R1 |
913.25 |
913.25 |
906.50 |
909.75 |
| PP |
906.25 |
906.25 |
906.25 |
904.50 |
| S1 |
898.25 |
898.25 |
904.00 |
894.75 |
| S2 |
891.25 |
891.25 |
902.50 |
|
| S3 |
876.25 |
883.25 |
901.00 |
|
| S4 |
861.25 |
868.25 |
897.00 |
|
|
| Weekly Pivots for week ending 12-Jun-2009 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1,032.75 |
1,018.25 |
958.00 |
|
| R3 |
1,001.25 |
986.75 |
949.50 |
|
| R2 |
969.75 |
969.75 |
946.50 |
|
| R1 |
955.25 |
955.25 |
943.75 |
962.50 |
| PP |
938.25 |
938.25 |
938.25 |
942.00 |
| S1 |
923.75 |
923.75 |
937.75 |
931.00 |
| S2 |
906.75 |
906.75 |
935.00 |
|
| S3 |
875.25 |
892.25 |
932.00 |
|
| S4 |
843.75 |
860.75 |
923.50 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
952.75 |
899.25 |
53.50 |
5.9% |
17.75 |
1.9% |
11% |
False |
True |
1,675,759 |
| 10 |
953.00 |
899.25 |
53.75 |
5.9% |
18.75 |
2.1% |
11% |
False |
True |
877,661 |
| 20 |
953.00 |
872.75 |
80.25 |
8.9% |
20.75 |
2.3% |
40% |
False |
False |
446,030 |
| 40 |
953.00 |
827.75 |
125.25 |
13.8% |
21.50 |
2.4% |
62% |
False |
False |
226,020 |
| 60 |
953.00 |
772.25 |
180.75 |
20.0% |
22.75 |
2.5% |
74% |
False |
False |
151,372 |
| 80 |
953.00 |
662.00 |
291.00 |
32.1% |
24.25 |
2.7% |
84% |
False |
False |
113,555 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
978.00 |
|
2.618 |
953.50 |
|
1.618 |
938.50 |
|
1.000 |
929.25 |
|
0.618 |
923.50 |
|
HIGH |
914.25 |
|
0.618 |
908.50 |
|
0.500 |
906.75 |
|
0.382 |
905.00 |
|
LOW |
899.25 |
|
0.618 |
890.00 |
|
1.000 |
884.25 |
|
1.618 |
875.00 |
|
2.618 |
860.00 |
|
4.250 |
835.50 |
|
|
| Fisher Pivots for day following 17-Jun-2009 |
| Pivot |
1 day |
3 day |
| R1 |
906.75 |
919.00 |
| PP |
906.25 |
914.50 |
| S1 |
905.75 |
909.75 |
|